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math.OC2020
A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
Mingshang Hu, Shaolin Ji, Rundong Xu
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoi…
math.NA2020
An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by -Brownian motion
Mingshang Hu, Lianzi Jiang
In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by -Brownian motion (-FBSDEs) which correspond to fully non…
math.NA2020
An Effective Discrete Recursive Method for Stochastic Optimal Control Problems
Mingshang Hu, Lianzi Jiang
In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete sto…